Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0564 |
| Annualized Std Dev | 0.2678 |
| Annualized Sharpe (Rf=0%) | 0.2107 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3521.0000 |
| NAs | 1.0000 |
| Minimum | -0.1072 |
| Quartile 1 | -0.0074 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1566 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | 0.2155 |
| Kurtosis | 8.3259 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0119 |
| Gain Deviation | 0.0124 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.6762 |
| Historical VaR (95%) | -0.0253 |
| Historical ES (95%) | -0.0401 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0267 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2017-10-13 | -0.6762 | 2506 | 267 | 2239 |
| 2018-01-29 | 2020-03-23 | 2020-10-12 | -0.3391 | 682 | 541 | 141 |
| 2007-07-24 | 2007-08-16 | 2007-09-04 | -0.1646 | 30 | 18 | 12 |
| 2021-02-18 | 2021-03-08 | NA | -0.1054 | 23 | 13 | NA |
| 2007-10-18 | 2007-10-19 | 2007-10-26 | -0.0562 | 7 | 2 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | -0.3 | -1.5 | 1.5 | 0.1 | -1.2 | 3.3 | 2.7 | -5.5 | 2.3 | 0.7 | 1.8 |
| 2008 | 2.5 | -1.4 | 3 | 1.7 | 0.8 | -1.2 | 0.5 | -1.1 | 1.6 | 1.3 | -6.3 | 1 | 2 |
| 2009 | -0.7 | -1.9 | 2.3 | 0.3 | -0.9 | 2 | 0.4 | -1.6 | -2.4 | -4.2 | 2.4 | 0.8 | -3.7 |
| 2010 | 2.2 | 1.7 | 2.3 | -1.4 | -1.8 | 0.3 | 0.7 | 2.9 | 1.4 | 1.1 | 2.8 | 0.4 | 13.2 |
| 2011 | 1.5 | -0.2 | 1.3 | 0.6 | -1.1 | 1.3 | 0.4 | -0.8 | -3.8 | -1.8 | 0 | -0.4 | -3 |
| 2012 | 1.8 | 0.5 | 1.1 | 0.6 | -2.7 | 4.1 | 0.2 | 0.7 | 1 | 2.2 | 0.5 | 1.5 | 12 |
| 2013 | 0.8 | -0.3 | -1 | -0.9 | -1.9 | 0.4 | 1.8 | 0.9 | 2.1 | 0 | 0.9 | 0.5 | 3.2 |
| 2014 | -0.3 | -0.4 | 1 | 0.5 | -0.6 | 1 | 0.7 | 0 | -1.5 | 1.3 | -1.5 | 0.1 | 0.2 |
| 2015 | -2 | 0.2 | 0.9 | 0.7 | 0.2 | 0 | 0.2 | -3.5 | 0.3 | 0.2 | 1.1 | 0.1 | -1.6 |
| 2016 | -0.8 | 2.9 | 0 | -0.7 | -0.3 | 0.6 | 0.3 | 0.5 | 0.6 | -0.4 | -1 | -0.3 | 1.5 |
| 2017 | 0.3 | 1.2 | -0.5 | 0.7 | 1 | 0.5 | 0.5 | 0.6 | 1 | 0.5 | -0.8 | 0.6 | 5.6 |
| 2018 | -1.2 | 0.2 | 1.4 | -0.1 | 0.9 | 1.6 | -0.6 | 0.3 | -0.1 | 3.4 | 0.3 | -0.6 | 5.4 |
| 2019 | -0.6 | 0.5 | 1.1 | -0.1 | 0.9 | 1.6 | -2.1 | 0.5 | -0.7 | 1.2 | -1.5 | 0.3 | 0.7 |
| 2020 | -2.1 | -1.2 | -4.3 | -3.1 | 1.9 | 0.9 | -0.3 | 1.5 | 1 | -1.2 | 1.8 | 0 | -5.2 |
| 2021 | 2.7 | 2.5 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-23 61.9 SPY 143. 0.0015 0.0351 -0.017 0.0082 0.0998 0.308 0.244 GLD 65.2 -0.00930 0.0082
2 2007-03-26 62.3 SPY 143. -0.0013 0.0214 -0.0145 0.0075 0.101 0.308 0.245 GLD 65.8 0.0106 0.017
3 2007-03-27 61.8 SPY 143. -0.00240 0.0134 -0.0159 0.0088 0.0972 0.304 0.258 GLD 65.7 -0.0021 0.0066
4 2007-03-28 60.7 SPY 142. -0.0073 -0.0103 0.0166 0.0076 0.0908 0.278 0.241 GLD 66.0 0.0053 0.0035
5 2007-03-29 61.6 SPY 142. 0.0011 -0.0085 0.0074 0.0028 0.0987 0.279 0.239 GLD 65.6 -0.0061 -0.0017
6 2007-03-30 61.3 SPY 142 0.0002 -0.0097 0.0106 -0.0036 0.0921 0.261 0.24 GLD 65.7 0.0014 0.0091
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
